IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go
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Question:
IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9.5 percent or down by 6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded. A call option with strike price 89 and maturity of 3 months has a delta of 0.82328. If you are short one call option, what is the future value in 3 months of a delta neutral portfolio.
73.091
82.937
65.279
71.197
78.393
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